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An empirical assessment of the U.S. Phillips curve over time

Vlekke, Marente; Koopman, Siem Jan; Mellens, Martin C. - 2021

We assess the stability of the unemployment gap parameter using linear dynamic Phillips curve models for the United States. In this study, we allow the unemployment gap parameter to be time-varying such that we can monitor the importance of the Phillips curve over time. We consider different...

Persistent link: https://www.econbiz.de/10012665848

An Empirical Assessment of the U.S. Phillips Curve over Time

Vlekke, Marente; Koopman, Siem Jan - 2021

Persistent link: https://www.econbiz.de/10013313573

Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, Andre - 2011

This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be...

Persistent link: https://www.econbiz.de/10010325908

The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008

In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...

Persistent link: https://www.econbiz.de/10011376640

Dynamic factor models with smooth loadings for analyzing the term structure of interest rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2010

We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic … set of unsmoothed Fama-Bliss zero yields for US treasuries of different maturities. The general dynamic factor model with …

Persistent link: https://www.econbiz.de/10011378359

Convergence in European GDP series

Luginbuhl, Rob; Koopman, Siem Jan - 2003

Convergence in gross domestic product series of five European countriesis empirically identified using multivariate time series models that arebased on unobserved components with dynamic converging properties.We define convergence in terms of a decrease in dispersion over timeand model this...

Persistent link: https://www.econbiz.de/10011333256

Model-based measurement of latent risk in time series with applications

Bijleveld, Frits; Commandeur, Jacques Jean François; … - 2005

we introduce a general multivariate framework for the time series analysis of risk that is modelled as a latent process … present a general model for the analysis of risk and discuss its statistical treatment based on linear state space methods … the general methodology can be effectively used in the assessment of risk. …

Persistent link: https://www.econbiz.de/10011348356

Empirical Bayes methods for dynamic factor models

Koopman, Siem Jan; Mesters, Geert - 2014

We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...

Persistent link: https://www.econbiz.de/10010357912

Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area

Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - 2016

We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical...

Persistent link: https://www.econbiz.de/10011456728

The dynamic factor network model with an application to global credit risk

Bräuning, Falk; Koopman, Siem Jan - 2016 - This version: October 31, 2016

We introduce a dynamic network model with probabilistic link functions that depend on stochastically time-varying parameters. We adopt the widely used blockmodel framework and allow the highdimensional vector of link probabilities to be a function of a low-dimensional set of dynamic factors. The...

Persistent link: https://www.econbiz.de/10011562907